Additional Metadata
Keywords Black, Bootstrap, Capital asset pricing model, Capm, Exact test, Fieller, Garch, Mean-variance efficiency, Monte carlo test, Multivariate linear regression, Non-normality, Nuisance parameters, Portfolio repacking, Uniform linear hypothesis, Weak identification
Persistent URL dx.doi.org/10.1093/restud/rds044
Journal Review of Economic Studies
Citation
Beaulieu, M.-C. (Marie-Claude), Dufour, J.-M. (Jean-Marie), & Khalaf, L. (2013). Identification-robust estimation and testing of the zero-beta capm. Review of Economic Studies, 80(3), 892–924. doi:10.1093/restud/rds044